You already have your answer but to explain Response.Redirect a little more: It is telling the Response object to redirect the user to the new page. What happens is the client gets that message and then requests somePage.aspx. So, it roundtrips but your C# thread will finish. It's essentially just adding a property to the Response object.
Server.Transfer will still finish your C# thread (finally will still run) but the client will not roundtrip. Execution will stay on the server and go to somePage.aspx and execute it and send the Response object back to the client.
There are only 10 types of people in the world, those who understand binary and those who don't.